There are actually two ways of doing this:
st = "Line 1" + vbCrLf + "Line 2"
st = "Line 1" + vbNewLine + "Line 2"
These even work for message boxes (and all other places where strings are used).
Use this code between two words:
& vbCrLf &
Using this, the next word displays on the next line.
Source: Stackoverflow.com